Did you download the data file ending in .tax2019?  You don't import or transfer it.  You just OPEN it in the 2019 program.

You got the 2019 program installed ok?  After you get the program installed the first thing to do before you open your tax return is to update the program and install any state programs you had. Then open your file. So you first might need to start a fake return to be able to download the state program (go to File-New Tax Return).

Then go to FILE -Open and find your return.

See the following FAQ for instructions to finish a 2019 tax return that you started in TurboTax Online.

How do I finish a prior-year return that I started in TurboTax Online?